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Add support to absolute fx vols
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16 files changed

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‎Examples/Example_42/Input/curveconfig.xml‎

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‎Examples/Example_42/Input/market.txt‎

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‎Examples/Example_42/Input/market_origin.txt‎

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‎Examples/Example_42/Input/netting.xml‎

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<?xml version="1.0"?>
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<NettingSetDefinitions>
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<NettingSet>
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<NettingSetId>CPTY_A</NettingSetId>
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<ActiveCSAFlag>false</ActiveCSAFlag>
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<CSADetails>
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<Bilateral>Bilateral</Bilateral>
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<CSACurrency>EUR</CSACurrency>
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<Index>EUR-EONIA</Index>
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<ThresholdPay>100000</ThresholdPay>
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<ThresholdReceive>100000</ThresholdReceive>
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<MinimumTransferAmountPay>0</MinimumTransferAmountPay>
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<MinimumTransferAmountReceive>0</MinimumTransferAmountReceive>
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<IndependentAmount>
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<IndependentAmountHeld>0</IndependentAmountHeld>
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<IndependentAmountType>FIXED</IndependentAmountType>
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</IndependentAmount>
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<MarginingFrequency>
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<CallFrequency>1D</CallFrequency>
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<PostFrequency>1D</PostFrequency>
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</MarginingFrequency>
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<MarginPeriodOfRisk>0W</MarginPeriodOfRisk>
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<CollateralCompoundingSpreadReceive>0.00</CollateralCompoundingSpreadReceive>
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<CollateralCompoundingSpreadPay>0.00</CollateralCompoundingSpreadPay>
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<EligibleCollaterals>
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<Currencies>
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<Currency>EUR</Currency>
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</Currencies>
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</EligibleCollaterals>
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</CSADetails>
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</NettingSet>
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<NettingSet>
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<NettingSetId>CPTY_B</NettingSetId>
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<ActiveCSAFlag>true</ActiveCSAFlag>
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<CSADetails>
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<Bilateral>Bilateral</Bilateral>
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<CSACurrency>EUR</CSACurrency>
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<Index>EUR-EONIA</Index>
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<ThresholdPay>0</ThresholdPay>
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<ThresholdReceive>0</ThresholdReceive>
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<MinimumTransferAmountPay>5000000</MinimumTransferAmountPay>
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<MinimumTransferAmountReceive>5000000</MinimumTransferAmountReceive>
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<IndependentAmount>
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<IndependentAmountHeld>0</IndependentAmountHeld>
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<IndependentAmountType>FIXED</IndependentAmountType>
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</IndependentAmount>
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<MarginingFrequency>
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<CallFrequency>1D</CallFrequency>
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<PostFrequency>1D</PostFrequency>
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</MarginingFrequency>
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<MarginPeriodOfRisk>2W</MarginPeriodOfRisk>
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<CollateralCompoundingSpreadReceive>0.00</CollateralCompoundingSpreadReceive>
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<CollateralCompoundingSpreadPay>0.00</CollateralCompoundingSpreadPay>
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<EligibleCollaterals>
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<Currencies>
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<Currency>EUR</Currency>
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</Currencies>
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</EligibleCollaterals>
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</CSADetails>
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</NettingSet>
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</NettingSetDefinitions>

‎Examples/Example_42/Input/ore.xml‎

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<?xml version="1.0"?>
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<ORE>
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<Setup>
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<Parameter name="inputPath">Input</Parameter>
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<Parameter name="outputPath">Output</Parameter>
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<Parameter name="asofDate">2016-02-05</Parameter>
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<Parameter name="marketDataFile">market.txt</Parameter>
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<Parameter name="fixingDataFile">../../Input/fixings_20160205.txt</Parameter>
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<Parameter name="implyTodaysFixings">N</Parameter>
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<Parameter name="logFile">log.txt</Parameter>
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<Parameter name="logMask">255</Parameter>
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<Parameter name="curveConfigFile">curveconfig.xml</Parameter>
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<Parameter name="conventionsFile">../../Input/conventions.xml</Parameter>
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<Parameter name="marketConfigFile">../../Input/todaysmarket.xml</Parameter>
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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="portfolioFile">portfolio.xml</Parameter>
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<Parameter name="observationModel">Disable</Parameter>
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</Setup>
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<Markets>
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<Parameter name="lgmcalibration">collateral_inccy</Parameter>
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<Parameter name="fxcalibration">collateral_eur</Parameter>
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<Parameter name="pricing">collateral_usd</Parameter>
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<Parameter name="simulation">collateral_eur</Parameter>
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</Markets>
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<Analytics>
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<Analytic type="npv">
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<Parameter name="active">Y</Parameter>
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<Parameter name="baseCurrency">USD</Parameter>
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<Parameter name="outputFileName">npv.csv</Parameter>
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</Analytic>
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<Analytic type="cashflow">
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<Parameter name="active">N</Parameter>
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<Parameter name="outputFileName">flows.csv</Parameter>
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</Analytic>
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<Analytic type="additionalResults">
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<Parameter name="active">Y</Parameter>
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<Parameter name="outputFileName">additional_results.csv</Parameter>
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</Analytic>
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<Analytic type="curves">
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<Parameter name="active">Y</Parameter>
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<Parameter name="configuration">default</Parameter>
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<Parameter name="grid">240,1M</Parameter>
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<Parameter name="outputFileName">curves.csv</Parameter>
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</Analytic>
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<Analytic type="simulation">
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<Parameter name="active">N</Parameter>
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<Parameter name="simulationConfigFile">simulation.xml</Parameter>
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<Parameter name="pricingEnginesFile">../../Input/pricingengine.xml</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>
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<!-- Parameter name="scenariodump">scenariodump.csv</Parameter> -->
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<Parameter name="cubeFile">cube.csv.gz</Parameter>
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<Parameter name="aggregationScenarioDataFileName">scenariodata.csv.gz</Parameter>
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</Analytic>
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<Analytic type="xva">
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<Parameter name="active">N</Parameter>
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<Parameter name="csaFile">netting.xml</Parameter>
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<Parameter name="cubeFile">cube.csv.gz</Parameter>
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<Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>
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<Parameter name="exposureProfiles">Y</Parameter>
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<Parameter name="exposureProfilesByTrade">Y</Parameter>
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<Parameter name="quantile">0.95</Parameter>
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<Parameter name="calculationType">Symmetric</Parameter>
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<Parameter name="allocationMethod">None</Parameter>
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<Parameter name="marginalAllocationLimit">1.0</Parameter>
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<Parameter name="exerciseNextBreak">N</Parameter>
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<Parameter name="cva">Y</Parameter>
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<Parameter name="dva">N</Parameter>
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<Parameter name="dvaName">BANK</Parameter>
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<Parameter name="fva">N</Parameter>
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<Parameter name="fvaBorrowingCurve">BANK_EUR_BORROW</Parameter>
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<Parameter name="fvaLendingCurve">BANK_EUR_LEND</Parameter>
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<Parameter name="colva">N</Parameter>
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<Parameter name="collateralFloor">N</Parameter>
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<Parameter name="rawCubeOutputFile">rawcube.csv</Parameter>
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<Parameter name="netCubeOutputFile">netcube.csv</Parameter>
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</Analytic>
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<Analytic type="initialMargin">
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<Parameter name="active">N</Parameter>
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<Parameter name="method"/>
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</Analytic>
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</Analytics>
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</ORE>

‎Examples/Example_42/Input/portfolio.xml‎

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<?xml version="1.0"?>
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<Portfolio>
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<!--
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<Trade id="FXFWD_EURUSD_10Y">
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<TradeType>FxForward</TradeType>
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<Envelope>
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<CounterParty>CPTY_A</CounterParty>
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<NettingSetId>CPTY_A</NettingSetId>
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<AdditionalFields/>
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</Envelope>
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<FxForwardData>
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<ValueDate>2026-03-01</ValueDate>
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<BoughtCurrency>EUR</BoughtCurrency>
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<BoughtAmount>1000000</BoughtAmount>
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<SoldCurrency>USD</SoldCurrency>
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<SoldAmount>1100000</SoldAmount>
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</FxForwardData>
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</Trade>
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<Trade id="FX_CALL_OPTION_EURUSD_10Y">
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<TradeType>FxOption</TradeType>
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<Envelope>
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<CounterParty>CPTY_A</CounterParty>
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<NettingSetId>CPTY_A</NettingSetId>
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<AdditionalFields/>
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</Envelope>
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<FxOptionData>
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<OptionData>
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<LongShort>Long</LongShort>
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<OptionType>Call</OptionType>
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<Style>European</Style>
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<Settlement>Cash</Settlement>
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<PayOffAtExpiry>false</PayOffAtExpiry>
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<ExerciseDates>
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<ExerciseDate>2026-03-01</ExerciseDate>
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</ExerciseDates>
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</OptionData>
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<BoughtCurrency>EUR</BoughtCurrency>
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<BoughtAmount>1000000</BoughtAmount>
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<SoldCurrency>USD</SoldCurrency>
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<SoldAmount>1100000</SoldAmount>
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</FxOptionData>
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</Trade>
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-->
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<Trade id="FX_PUT_OPTION_EURUSD_10Y">
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<TradeType>FxOption</TradeType>
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<Envelope>
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<CounterParty>CPTY_A</CounterParty>
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<NettingSetId>CPTY_A</NettingSetId>
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<AdditionalFields/>
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</Envelope>
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<FxOptionData>
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<OptionData>
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<LongShort>Long</LongShort>
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<OptionType>Put</OptionType>
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<Style>European</Style>
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<Settlement>Cash</Settlement>
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<PayOffAtExpiry>false</PayOffAtExpiry>
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<ExerciseDates>
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<ExerciseDate>2026-03-01</ExerciseDate>
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</ExerciseDates>
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</OptionData>
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<BoughtCurrency>EUR</BoughtCurrency>
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<BoughtAmount>1000000</BoughtAmount>
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<SoldCurrency>USD</SoldCurrency>
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<SoldAmount>1100000</SoldAmount>
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</FxOptionData>
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</Trade>
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</Portfolio>

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